BongaBonga, Lumengo and Umoetok, Ekerete (2015): The effectiveness of index futures hedging in emerging markets during the crisis period of 20082010: Evidence from South Africa.

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Abstract
This paper provides an assessment of the comparative effectiveness of four econometric methods in estimating the optimal hedge ratio in an emerging equity market, particularly the South African equity and futures markets. The paper bases the effectiveness of hedging on volatility reduction and minimisation of the coefficient of variation of hedged returns as well as riskaversion based utility maximisation. The empirical analysis shows that the single equation method estimated by ordinary least squares is the most effective over daily hedging periods. However, the vector errorcorrection method and multivariate GARCH methods are most effective over weekly and monthly hedging periods.
Item Type:  MPRA Paper 

Original Title:  The effectiveness of index futures hedging in emerging markets during the crisis period of 20082010: Evidence from South Africa 
English Title:  The effectiveness of index futures hedging in emerging markets during the crisis period of 20082010: Evidence from South Africa 
Language:  English 
Keywords:  emerging markets, optimal hedge ratio, South Africa, index futures hedging, Vector autoregression, Vector errorcorrection, GARCH 
Subjects:  C  Mathematical and Quantitative Methods > C5  Econometric Modeling C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C58  Financial Econometrics G  Financial Economics > G1  General Financial Markets > G13  Contingent Pricing ; Futures Pricing 
Item ID:  62932 
Depositing User:  Prof Lumengo BongaBonga 
Date Deposited:  18 Mar 2015 10:05 
Last Modified:  27 Sep 2019 01:32 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/62932 